I took the United Bicycle Institute frame building course a few years back. I did the filet-brazed steel course and built a cruiser. I also took a short TIG welding supplementary course afterwards, where you practice on thin walled tubing. I'm glad I brazed mine because for sure I would have blown fat holes into the real thing with a TIG.

Was a lot of fun and learned a ton. I still ride the bike all the time. One thing I'd recommend is knowing what type of bike you want to build, and being vigilante in making sure you will have the necessary tubing and fixins. For example, there was no butted tube short enough for the seat tube I wanted, so I ended up using a 1 1/4" straight gauge 4130 pipe and now I'm bound by the 26.6 seat tube post. That's the way she goes though.